| Metric | EQW | ^DJI | SPY | MV (120d) | BL (120d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 90.0% | 99.0% |
| Cumulative Return | 348.15% | 320.26% | 539.04% | 429.67% | 428.75% |
| CAGR﹪ | 6.16% | 5.89% | 7.67% | 6.87% | 6.86% |
| Sharpe | 0.39 | 0.4 | 0.48 | 0.46 | 0.44 |
| Prob. Sharpe Ratio | 97.48% | 97.76% | 99.14% | 98.81% | 98.52% |
| Smart Sharpe | 0.37 | 0.38 | 0.45 | 0.43 | 0.41 |
| Sortino | 0.55 | 0.57 | 0.67 | 0.63 | 0.61 |
| Smart Sortino | 0.51 | 0.53 | 0.63 | 0.59 | 0.57 |
| Sortino/√2 | 0.39 | 0.4 | 0.48 | 0.44 | 0.43 |
| Smart Sortino/√2 | 0.36 | 0.38 | 0.45 | 0.42 | 0.4 |
| Omega | 1.08 | 1.08 | 1.09 | 1.09 | 1.09 |
| Max Drawdown | -62.16% | -53.78% | -55.19% | -59.35% | -59.3% |
| Max DD Date | 2009-03-09 | 2009-03-09 | 2009-03-09 | 2002-12-30 | 2009-03-09 |
| Max DD Period Start | 2007-11-01 | 2007-10-10 | 2007-10-10 | 2000-09-05 | 2007-11-01 |
| Max DD Period End | 2013-10-17 | 2013-03-04 | 2012-08-15 | 2005-08-10 | 2013-09-17 |
| Longest DD Days | 2178 | 2450 | 2404 | 1801 | 2148 |
| Volatility (ann.) | 20.73% | 18.55% | 19.53% | 18.26% | 19.63% |
| Calmar | 0.1 | 0.11 | 0.14 | 0.12 | 0.12 |
| Skew | -0.29 | -0.11 | -0.01 | -0.62 | -0.27 |
| Kurtosis | 11.27 | 12.25 | 11.16 | 7.48 | 13.53 |
| Expected Daily | 0.02% | 0.02% | 0.03% | 0.03% | 0.03% |
| Expected Monthly | 0.5% | 0.48% | 0.62% | 0.55% | 0.55% |
| Expected Yearly | 5.94% | 5.68% | 7.39% | 6.62% | 6.61% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -2.12% | -1.89% | -1.99% | -1.86% | -2.0% |
| Expected Shortfall (cVaR) | -3.58% | -3.58% | -3.58% | -3.58% | -3.58% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.08 | 1.08 | 1.09 | 1.09 | 1.09 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.94 | 0.96 | 0.92 | 0.95 | 0.94 |
| Outlier Win Ratio | 3.78 | 4.28 | 4.1 | 4.68 | 4.13 |
| Outlier Loss Ratio | 3.76 | 4.29 | 3.96 | 3.88 | 3.98 |
| MTD | 2.37% | 2.57% | 5.17% | 4.67% | 1.52% |
| 3M | 6.97% | 10.94% | 12.06% | 5.14% | 4.45% |
| 6M | 9.5% | 14.12% | 16.79% | 5.15% | 6.57% |
| YTD | 0.09% | 3.83% | 6.85% | 1.75% | -1.55% |
| 1Y | 8.61% | 18.42% | 29.36% | 6.08% | 5.3% |
| 3Y (ann.) | 1.78% | 6.31% | 10.76% | -4.45% | 0.16% |
| 5Y (ann.) | 6.14% | 9.1% | 14.72% | 5.3% | 5.64% |
| 10Y (ann.) | 4.57% | 9.29% | 12.72% | 4.28% | 4.33% |
| All-time (ann.) | 6.16% | 5.89% | 7.67% | 6.87% | 6.86% |
| Best Day | 14.28% | 11.37% | 14.52% | 7.21% | 14.25% |
| Worst Day | -11.79% | -12.93% | -10.94% | -11.4% | -12.04% |
| Best Month | 16.66% | 13.95% | 12.7% | 19.4% | 17.55% |
| Worst Month | -23.8% | -14.06% | -16.52% | -19.51% | -21.36% |
| Best Year | 48.56% | 26.5% | 32.31% | 62.46% | 57.47% |
| Worst Year | -44.7% | -33.84% | -36.8% | -32.19% | -40.74% |
| Avg. Drawdown | -3.02% | -2.3% | -2.05% | -3.63% | -2.48% |
| Avg. Drawdown Days | 54 | 46 | 32 | 58 | 48 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.18 | 0.14 | 0.17 | 0.21 | 0.15 |
| Serenity Index | 0.38 | 0.39 | 0.44 | 0.29 | 0.45 |
| Avg. Up Month | 4.31% | 3.48% | 3.81% | 4.31% | 4.19% |
| Avg. Down Month | -4.91% | -4.05% | -4.14% | -4.51% | -4.54% |
| Win Days | 53.3% | 53.12% | 54.29% | 53.23% | 53.44% |
| Win Month | 58.61% | 60.93% | 62.58% | 58.8% | 59.8% |
| Win Quarter | 63.37% | 65.35% | 70.3% | 69.07% | 66.67% |
| Win Year | 65.38% | 69.23% | 76.92% | 65.38% | 61.54% |
| Year | EQW | ^DJI | SPY | MV (120d) | BL (120d) |
|---|---|---|---|---|---|
| 1999 | 16.93 | 22.39 | 19.28 | 21.94 | 8.41 |
| 2000 | -7.54 | -4.22 | -7.41 | -7.18 | -6.99 |
| 2001 | -16.16 | -5.12 | -10.11 | -26.25 | -9.66 |
| 2002 | -9.94 | -15.11 | -20.83 | -36.60 | -5.61 |
| 2003 | 40.78 | 23.95 | 26.20 | 49.55 | 46.35 |
| 2004 | 25.60 | 3.69 | 10.78 | 36.61 | 24.46 |
| 2005 | 12.62 | -0.08 | 5.25 | 12.91 | 13.80 |
| 2006 | 29.23 | 15.58 | 15.21 | 32.01 | 29.91 |
| 2007 | 15.49 | 7.29 | 6.28 | 26.60 | 19.18 |
| 2008 | -48.95 | -34.13 | -37.36 | -29.68 | -42.25 |
| 2009 | 41.61 | 20.17 | 26.93 | 49.29 | 42.88 |
| 2010 | 12.86 | 11.76 | 15.63 | -3.83 | 11.70 |
| 2011 | -11.18 | 7.59 | 4.53 | -16.64 | -14.02 |
| 2012 | 21.58 | 7.69 | 15.64 | 17.66 | 20.35 |
| 2013 | 19.55 | 24.03 | 28.62 | 20.67 | 17.21 |
| 2014 | -4.95 | 7.84 | 13.27 | 9.37 | -1.57 |
| 2015 | -0.29 | -1.07 | 2.41 | -3.14 | -0.62 |
| 2016 | 5.44 | 13.38 | 12.18 | 15.53 | 4.48 |
| 2017 | 24.15 | 22.61 | 19.88 | 18.95 | 24.74 |
| 2018 | -12.32 | -4.20 | -3.23 | -16.48 | -13.60 |
| 2019 | 20.38 | 20.94 | 27.97 | 11.66 | 18.79 |
| 2020 | 14.37 | 13.82 | 22.47 | 28.88 | 17.18 |
| 2021 | 13.35 | 17.94 | 26.11 | 16.38 | 13.29 |
| 2022 | -12.96 | -7.24 | -17.13 | -33.12 | -15.08 |
| 2023 | 14.26 | 13.49 | 24.11 | 11.79 | 13.19 |
| 2024 | 0.20 | 3.81 | 6.73 | 1.87 | -1.45 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2013-10-17 | -62.16 | 2178 |
| 2000-01-04 | 2004-01-02 | -42.42 | 1460 |
| 2020-01-21 | 2020-11-13 | -36.40 | 298 |
| 2021-11-09 | 2024-02-23 | -30.17 | 837 |
| 2014-07-07 | 2017-05-01 | -24.39 | 1030 |
| 2018-01-29 | 2019-12-31 | -21.06 | 702 |
| 2006-05-10 | 2006-10-13 | -15.78 | 157 |
| 2007-07-13 | 2007-09-28 | -13.07 | 78 |
| 1999-01-07 | 1999-04-26 | -11.73 | 110 |
| 2004-02-18 | 2004-09-20 | -11.43 | 216 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-09-05 | 2005-08-10 | -59.35 | 1801 |
| 2018-01-29 | 2020-10-02 | -40.62 | 978 |
| 2007-11-01 | 2009-09-15 | -36.25 | 685 |
| 2021-06-08 | 2024-02-23 | -35.04 | 991 |
| 2009-10-16 | 2013-05-13 | -28.80 | 1306 |
| 2015-05-18 | 2016-04-11 | -16.58 | 330 |
| 2006-05-11 | 2006-09-25 | -15.33 | 138 |
| 2000-03-06 | 2000-07-19 | -15.29 | 136 |
| 2016-09-08 | 2017-07-24 | -14.04 | 320 |
| 2007-07-20 | 2007-09-24 | -13.98 | 67 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2013-09-17 | -59.30 | 2148 |
| 2018-01-29 | 2020-11-13 | -39.07 | 1020 |
| 2000-01-04 | 2003-10-02 | -33.61 | 1368 |
| 2021-11-09 | 2024-02-23 | -29.58 | 837 |
| 2014-07-07 | 2017-04-21 | -22.64 | 1020 |
| 2006-05-10 | 2006-10-11 | -15.44 | 155 |
| 2004-02-18 | 2004-09-30 | -13.14 | 226 |
| 2007-07-13 | 2007-09-26 | -12.74 | 76 |
| 2007-02-27 | 2007-03-20 | -8.59 | 22 |
| 2014-01-16 | 2014-02-21 | -7.01 | 37 |